The least painful pipeline should be the following (only follow the instructions at the pages I am listing, as otherwise things may get too confusing):
1) Install lean as a VS Code extension lean4 following : https://leanprover.github.io/lean4/doc/quickstart.html
2) Read about using the build system `lake` here : https://leanprover.github.io/lean4/doc/setup.html
3) Note that this does not install mathlib4; leave that for later.
4) Start playing around with basic examples in VS Code by reading the beginning sections of https://leanprover.github.io/functional_programming_in_lean/...
5) If something does not work on break, ask in the Zulip chat; the devs are gathering pain points to improve tooling every day.
If this seems too painful, indeed you may want to wait a bit for the tooling to improve.
I think it's better to think of it as bleeding-edge research software rather than alpha software. There might be a little bit of culture shock if you're used to industry-oriented software, but part of this stable version announcement is that there's a new Lean organization that now has resources to improve the experience.